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tman Volatility Indicator

Hello,

I am trying to explore for high intraday volatility vs "daily volatility" for the last 20 days.
This is what I've been using.

Std(Log(H/L),19) / Std(Log(C/Ref(C,-1)),19)

How does this look??
Thanks,
The board is great!!
tman

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I have only had a quick look over your indicator, and offer:

First, you don't need to take the Log() of the numerator and the divisor. Its redundant in the big scheme of things.

Second, to allow users more flexibility in the application of this indicator I would add an Input() variable to be able to easily change the period length.

Third, I would include some error handling for Divide by Zero errors whenever you have any division operation taking place in your code.

All in all, its good clean code. How do you intend trading this indicator? Do you smooth the output with a MA? Two MA crossover?

Anyway, this is more like I would use:


tman Volatility Indicator

prd:=Input("Periods",2,100,20);
Std(H/L,prd)/Max(Std(C/Ref(C,-1),prd),0.0001);

Hope this helps.

wabbit Very Happy

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Thanks Wabbit,
I am a gamma scalper. I am looking for a tool to find underpriced options. My broad assumption is that option volatility and therefore market prices primarily incorporate close to close volatility. Gamma scalpers want high, relative intraday volatility. If this screen doesn't provide an edge, it will at least, level the field. I will be happy to share my results if there is any interest.
Thank you again!!
tman

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Hi tman,

I've been using volatilyty but to help me with the markets.Your comments raises a question and please forgive me if I'm not thinking right-I'm not feeling that bright right this moment.I always thought that wether you looked at a 5 min,or a daily the high for that day is the same #.Yes it does adjust intraday depending if the price spikes to a new low or a new high but the high for that day is the same.

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I am not an experienced formula writer, but if you are using this indicator on an intraday chart in MetaStock and wanting to look back 20 "days" and not 20 "periods" you would need to use some form of Rate of Change on one of the Day functions to extract the "Daily" values. If you just mean 20 periods then please disregard d'oh!

Sportrider,
Sorry for the tardy reply. I am looking for differentials in the close-close volatilty vs the high-low volatility. In other words, a stock may have a many large intraday swings, yet close almost unchanged on the day. Options on a stock like this may not reflect the large intraday volatility. I use this as a screening tool and then narrow the list further by looking at the 30 day implied vol vs the 52 week range of implied vol-----looking to purchase "cheap" straddles.
Again, I apologize the the delay in responding.
tman

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tman,

No problem .Thank you for the reply.

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